Welcome and enjoy... :lol:
First I would say to have a clear goal for the car... What type of performance driving do you want it for and what power goals do you expect.
One thing I can tell you is don't jump into the mods willy nilly. These cars require tuning for just about anything you do. The best thing to do is to define a goal and research first. Then accumulate all you parts and install them at one time. This way you can tune once and for everything you have.
Do not get an after market intake... They are useless unless you are going big turbo. The stock setup with a K&N filter is the best bang for your money.
For your fist mod I would suggest going Stage 2 which includes a Turbo back exhaust, and a Stage 2 tune. (either with an AccessPort or an OpenSource tune) Possibly a Fuel Pump. Stage 2 will give you enough power to satisfy a wide range of performance driving goals.
If you are looking to buy a car I would suggest you look for a clean unmolested stock STi. This way you can hand pick the parts and you will have good bones to work with. Don't buy something that has a built block or a heavy list of mods. The majority of them are vastly unreliable and you just don't know what you are getting.
Unless the car is used, If it were me, I would wait till your warranty is done before you start modding anything :tup:
Just take your time and check out all the write-ups on the site and make wise educated decisions.